This is one of several 19th century US popular songs that are played by Island fiddlers as dance tunes; some others are Golden Slippers, Home Sweet Home, Jubilo aka Kingdom Comin', and When You and I Were Young, Maggie.
Hanby, a songwriter from Ohio, composed Darlin' Nelly Grey in 1856; the lyrics describe a free, young black woman who is kidnapped into slavery. The chorus goes as follows.
Oh my darling Nellie Grey, they have taken you away,
And I'll never get to see you any more,
I'm a-sitting by the river and I'm weeping all the day,
For you've gone from the old Kentucky shore.
Notation for this tune as played by Johnny Morrissey is in Fiddle Music of Prince Edward Island.